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Quantitative Finance
Alfie's user avatar
Alfie's user avatar
Alfie's user avatar
Alfie
  • Member for 9 years, 6 months
  • Last seen more than a month ago
  • Madrid
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Top posts
3
Covariance matrix and Cholesky decomposition
Feb 4, 2015
3
Literature on PAA for Rates products
Jan 20
2
Turning an amortising swaption into a normal swaption
Jun 13, 2018
2
From continuous compounding to simple compounding - convexity adjustment
Feb 12, 2017
1
Adjoint Algorithmic Differentiation: swap pricing
May 18, 2017
0
Volatility in short-rate models and vol practical issues
Oct 15, 2016
Top network posts
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28
Angle bracket and sharp bracket for discontinuous processes
15
Ornstein-Uhlenbeck process: increments
8
Is $t^{-\frac{1}{2}}B_{t^2}$ a Brownian Motion?
5
Lookback option with floating strike: boundary condition
5
Complex Integration: theorem of Residues